Ticket #679 (closed enhancement: fixed)

Opened 9 years ago

Last modified 9 years ago

BSR Fixing and reloading partially for output missing block

Reported by: vdebuen Owned by: vdebuen
Priority: highest Milestone: BSR reestimation
Component: Math Version: 2.0.1
Severity: blocker Keywords: BSR, partial simulation, missing
Cc:

Description

We can separate output missing block

Y + V = X \beta + a; e_t = \frac{\theta \left(B\right)}{\phi\left(B\right}} a_t \sim N\left(0,\sigma^2\right) $$

in two sub-blocks

Y + V_{1} + V_{2} = X \beta + a $$

If we have an inconditional sample or a fixed set of values for \V_{1} $$, then we can sample \V_{2} | \V_{1} $$ from reduced regression

Y_{1} + V_{2} = X \beta + a $$
Y_{1} = Y + V_{1} $$

Change History

Changed 9 years ago by vdebuen

  • status changed from new to assigned

Changed 9 years ago by vdebuen

  • status changed from assigned to closed
  • resolution set to fixed

This feature has been added at release v2.0.1 b.0.14.alpha

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